RS | R Documentation |
Computes the pdf, cdf, value at risk and expected shortfall for the Ramber-Schmeiser distribution due to Ramberg and Schmeiser (1974) given by
\begin{array}{ll}
&\displaystyle
{\rm VaR}_p (X) = \frac {p^b - (1 - p)^c}{d},
\\
&\displaystyle
{\rm ES}_p (X) = \frac {p^{b}}{d (b + 1)} + \frac {(1 - p)^{c + 1} - 1}{p d (c + 1)}
\end{array}
for 0 < p < 1
, b > 0
, the first shape parameter,
c > 0
, the second shape parameter, and d > 0
, the scale parameter.
varRS(p, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE)
esRS(p, b=1, c=1, d=1)
p |
scaler or vector of values at which the value at risk or expected shortfall needs to be computed |
d |
the value of the scale parameter, must be positive, the default is 1 |
b |
the value of the first shape parameter, must be positive, the default is 1 |
c |
the value of the second shape parameter, must be positive, the default is 1 |
log |
if TRUE then log(pdf) are returned |
log.p |
if TRUE then log(cdf) are returned and quantiles are computed for exp(p) |
lower.tail |
if FALSE then 1-cdf are returned and quantiles are computed for 1-p |
An object of the same length as x
, giving the pdf or cdf values computed at x
or an object of the same length as p
, giving the values at risk or expected shortfall computed at p
.
Saralees Nadarajah
Stephen Chan, Saralees Nadarajah & Emmanuel Afuecheta (2016). An R Package for Value at Risk and Expected Shortfall, Communications in Statistics - Simulation and Computation, 45:9, 3416-3434, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/03610918.2014.944658")}
x=runif(10,min=0,max=1)
varRS(x)
esRS(x)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.